Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0820
Annualized Std Dev 0.1423
Annualized Sharpe (Rf=0%) -0.5764

Row

Daily Return Statistics

Close
Observations 2914.0000
NAs 1.0000
Minimum -0.0756
Quartile 1 -0.0055
Median -0.0007
Arithmetic Mean -0.0003
Geometric Mean -0.0003
Quartile 3 0.0049
Maximum 0.0630
SE Mean 0.0002
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0000
Variance 0.0001
Stdev 0.0090
Skewness -0.1097
Kurtosis 4.2462

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0059
Loss Deviation 0.0060
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.7119
Historical VaR (95%) -0.0137
Historical ES (95%) -0.0199
Modified VaR (95%) -0.0146
Modified ES (95%) -0.0231
From Trough To Depth Length To Trough Recovery
2010-01-12 2020-08-04 NA -0.7119 2817 2659 NA
2009-08-24 2009-10-01 2009-12-22 -0.0694 85 28 57
2009-12-29 2010-01-05 2010-01-11 -0.0159 9 5 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA 0.3 -1.2 -1.5 1.1 0.5 -0.8
2010 0.9 0 0.2 -1.2 -0.8 -0.2 -1.6 2.1 0.5 0.2 2.1 -0.6 1.6
2011 0.4 -0.3 -0.4 -0.3 -1.4 0.2 -1.1 -2 -2.5 -3.4 0.3 -0.3 -10.2
2012 1.2 0.9 1.7 0.5 -2.3 1.3 0.4 -1.4 -0.5 0.5 0.3 1.9 4.7
2013 1.3 -0.5 -0.8 -1 0.4 -0.2 1.7 0.2 0.3 1.1 -0.2 0.5 2.9
2014 -0.5 -0.1 1 -0.9 0.1 0.9 -0.8 -0.1 -1.9 0.3 0.5 -0.3 -2
2015 -1.7 -0.8 -1.4 1.4 1 1.4 -0.8 -0.7 -0.4 -0.6 -1.3 -0.5 -4.3
2016 0 1.6 -0.3 -0.2 -0.4 -1.4 0.9 0 0.7 -0.1 0.9 -0.3 1.4
2017 0.6 1.6 -0.3 0.8 0 0.3 -0.8 0.8 -0.2 -0.4 -1.3 -0.1 0.8
2018 1.5 -0.7 -0.6 0.4 0.5 0.2 0.8 0.2 0.7 0 -0.4 -0.4 2.2
2019 0.7 0.9 1.4 -0.4 -1.1 0.2 -2 0 -0.4 0.3 0.3 0.9 0.8
2020 -0.8 -2.3 -1.4 -0.6 0.7 0.2 0.2 -1.2 -0.1 1 1.4 0.1 -2.8
2021 0 1.6 -0.5 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-08-20  49.2 SPY    101.  0.0103  -0.0057   0.0569    0.132   -0.208   -0.227  -0.0795 GLD    92.3 -2.80e-3  -0.0155
2 2009-08-21  50.2 SPY    103.  0.0196   0.0216   0.0544    0.157   -0.194   -0.209  -0.068  GLD    93.6  1.50e-2   0.007 
3 2009-08-24  49.4 SPY    103. -0.0001   0.0473   0.05      0.128   -0.206   -0.209  -0.0657 GLD    92.3 -1.40e-2   0.008 
4 2009-08-25  49.0 SPY    103.  0.0019   0.0411   0.0489    0.150   -0.188   -0.205  -0.0652 GLD    92.8  4.50e-3   0.0076
5 2009-08-26  48.8 SPY    103.  0.0001   0.0321   0.0539    0.135   -0.190   -0.204  -0.0714 GLD    92.8  3.00e-4   0.0028
6 2009-08-27  49.0 SPY    103.  0.0022   0.0239   0.0589    0.118   -0.196   -0.204  -0.0693 GLD    93.2  4.30e-3   0.01  
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart